As you can see in the last entry of this screenshot, it even names the app which holds this connection.

These are two examples of real-time monitoring which do not require root. If your device is rooted, you might also want to take a look at DroidWall: This app offers to keep a log of all network accesses for each app. Plus, as a Firewall app, you can restrict apps to WiFi, mobile network, or even forbid them network access altogether.